The Excel Mduration function calculates the modified Macaulay Duration of a security that pays periodic interest, assuming a par value of $100.
The syntax of the function is :
Where the arguments are as follows:
|settlement||-||The settlement date of the security (ie. the date that the coupon is purchased)|
|maturity||-||The maturity date of the security (ie. the date that the coupon expires)|
|coupon||-||The security's annual coupon rate|
|yld||-||The security's annual yield|
The number of coupon payments per year. This must be one of the following:
An optional integer argument which specifies the financial day count basis that is used by the security. Possible values are:
Note that the date arguments should be supplied to the function as either:
|-||If you attempt to input the date arguments as text, these can be interpreted differently, depending on the date system and date interpretation settings on your computer.|
|-||Although these dates can be supplied as serial numbers, this is not recommended, as date serial numbering varies across different computer systems.|
The following spreadsheet uses the Excel Mduration function to calculate the modified Macaulay Duration of a security that with a settlement date 01-Apr-2010, a maturity date 31-Mar-2020 and a yield of 8%. The coupon rate is 10% and payments are made quarterly.
|3||=MDURATION( B1, B2, 10%, 8%, 4 )|
The above Mduration function returns the value 6.540828452 years.
Note that, in the above Mduration function call :
Further examples of the Excel Mduration function can be found on the Microsoft Office website.
If you get an error from the Mduration function, this is likely to be one of the following:
Occurs if either:
Occurs if either:
Occurs when Analysis ToolPak add-in is not enabled in your Excel.